Finance

SLE Move Probability $6.20 +0.71 (+12.9%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
66.3%
Stock touched +5.0% ($6.51) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
33.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±54.1%
$2.85 — $9.55

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-70.3% to -0.7%: 313 occurrences (61.6%) -35.5% -0.7% to +68.9%: 158 occurrences (31.1%) +68.9% to +138.5%: 16 occurrences (3.1%) +138.5% to +208.1%: 7 occurrences (1.4%) 173.3% +208.1% to +277.7%: 0 occurrences (0.0%) +277.7% to +347.3%: 0 occurrences (0.0%) +347.3% to +416.9%: 0 occurrences (0.0%) 382.1% +416.9% to +486.5%: 0 occurrences (0.0%) +486.5% to +556.1%: 0 occurrences (0.0%) +556.1% to +625.7%: 0 occurrences (0.0%) 590.9% +625.7% to +695.3%: 0 occurrences (0.0%) +695.3% to +764.9%: 0 occurrences (0.0%) +764.9% to +834.4%: 0 occurrences (0.0%) 799.6% +834.4% to +904.0%: 9 occurrences (1.8%) +904.0% to +973.6%: 0 occurrences (0.0%) +973.6% to +1043.2%: 5 occurrences (1.0%) 1008.4%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 66.3% 33.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.1% Adjusts normal bell curve for real-world skewness (7.36) and kurtosis (110.16).
Standard Normal (Black-Scholes / GBM) 92.8% 46.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 66.2% 29.6% Filters for historical windows that started with volatility similar to current 20-day HV (287 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 229.5%
  • Recent 20-Day HV: 127.0%
  • Parkinson Intraday Volatility: 89.9%
  • Vol Trend: Compressed (-45% vs baseline)

14-Day Return Quantiles

  • Median Return: -8.1%
  • Top 10% Move (90th percentile): +57.6%
  • Bottom 10% Move (10th percentile): -40.0%
  • Max Historical Gain (14d): +1043.2%
  • Max Historical Loss (14d): -70.3%